I've posted this issue on the iqfeed forum (http://forums.dtn.com/index.cfm?page=topic&topicID=5905) as I'm not yet sure if the issue is with NT8 or IQFeed. When downloading historical data from iqfeed using NinjaTrader 8, I'm frequently seeing issues with the tick data (unsure if its a problem with iqfeed, NT, or user error). Yesterday I set off a download of ~6 months of tick data for ~500 stock symbols, and today when testing using that data there were tick data issues with ~50 of them (obvious issues such as having 1MM trade volume for the same microsecond time stamp). What I have been doing as a workaround is to delete the data for the affected symbols and redownloading them. However when I just did this a moment ago, I'm still seeing the same issue for some of the symbols. A good example is the stock GPS...
I setoff a download for GPS Tick, Minute & Day data for Bid/Ask/Last from 4/1/21 to 9/30/21 (in NinjaTrader>Import Historical Data>Download).
The tick data for 9/13/2021 looks corrupted (minute data looks fine).
The screenshot attached shows tick data and 1min data side by side for GPS. In the tick data there are ~2MM+ trades in GPS with the timestamp 3:57:00:438, which 1min data for 3:57 has ~88k volume.
As deleting and redownloading has mostly worked in the past, my best guess is that it won't be a problem with iqfeeds data, but some other issue. Do you have any ideas what could be causing this please? (it's causing a lot of delays to identify, purge and redownload historical data). I'm wondering if there are alternative methods I could use for downloading and importing the data which could either bypass the issue or help debug it? FYI, I am backtesting strategies against a basket of ~500 stocks for ~6 months, so I download the historical data in advance so the tests run faster.
Many thanks
ChainsawDR
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